Results 21 to 30 of about 7,199,199 (374)
Time-Varying Risk Attitude and Conditional Skewness
Abstract and Applied Analysis, 2014 Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As further research, this paper, first taking up the
Zhifeng Liu, Tingting Zhang, Fenghua Wen
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Testing The Indonesian Stock Market Arbitrage Pricing Model
Jurnal Manajemen, 2023 This research aims to explain the return and risk premium using an APT model from the Indonesian stock market. The study uses a two-stage regression model. This study uses a sample of stocks included in the Kompas100 index.
Wawan Ichwanudin, Roni Kambara
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Barekeng, 2023 High-intensity rainfall is one of the factors that can interfere with the state of agriculture. Agricultural insurance is an insurance that can be used to reduce risks related to agricultural losses such as rice production.
Geby Marola +2 more
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Dark Matter in (Volatility and) Equity Option Risk Premiums [PDF]
arXiv, 2023 Emphasizing the statistics of jumps crossing the strike and local time, we develop a decomposition of equity option risk premiums. Operationalizing this theoretical treatment, we equip the pricing kernel process with unspanned risks, embed (unspanned) jump risks, and allow equity return volatility to contain unspanned risks.
arxiv
The finance-growth nexus: Does risk premium matter?
International Journal of Finance and Economics, 2018 The bounds testing approach to cointegration analysis is employed in this paper to examine whether the risk premium demanded by the banking sector moderates the finance–growth nexus with data (1970–2015) from South Africa.
Michael Adusei
semanticscholar +1 more source
, 2019 The risk premium puzzle is worse than you think. Using a new database for the U.S. and 15 other advanced economies from 1870 to the present that includes housing as well as equity returns (to capture the full risky capital portfolio of the representative
Ò. Jordà +2 more
semanticscholar +1 more source
Estimating Household Preferences for Coastal Flood Risk Mitigation Policies Under Ambiguity
Earth's Future, 2022 Risk mitigation policies (like dike rising) are essential to address increasing coastal flood risks due to global warming. Furthermore, the optimal level of risk mitigation policy should be determined by public preferences for risk reduction. However, it
Si Ha +7 more
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Term premium and equity premium in economies with habit formation [PDF]
, 2006 In this paper we investigate the size of the risk premium and the term premium in an representative agent exchange model economy where households preferences are subject to habit formation.
Budria, Santiago, Díaz, Antonia
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Risk and Probability Premiums for Cara Utility Functions
Journal of Agricultural and Resource Economics, 1993 The risk premium and the probability premium are used to determine appropriate coefficients of absolute risk aversion under CARA utility. A defensible range of risk aversion coefficients is defined by the coefficients that correspond to risk premiums ...
Bruce A. Babcock +2 more
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İstanbul İktisat Dergisi, 2020 The Turkish financial markets have been in turmoil due to the adverse shocks that have originated from both global financial conditions and its domestic political environment.
Zekeriya Yıldırım
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